Weekly Algorithm Review: 08/12/2023 to 08/18/2023
Performance Rankings
Sector Neutral: +0.23%
Variable Sector Neutral: -0.52%
Variable Market Neutral: -0.94%
Market Neutral: -0.94%
Overall Market: -1.02%
Base Algorithm: -1.16%
Long Term Portfolio: -1.43%
This was a tougher week for our portfolio, but our algorithm is doing much better since the reversion. Outperforming by 27 bps, it’s one of our best weeks lately. To me, this is a green flag, but it isn’t conclusive that it’s time to release the hold. I’d like to see it in action a little longer before making that call, but this is definitely a good sign.
While not formally releasing the hold, I’m more optimistic about the algorithm’s performance for the time being. I would upgrade my stance from “ignore its recommendations entirely” to “it looks good, but take it with a pinch of salt”.
As is to be expected, the algorithm is sticking relatively close to the portfolio’s sector distribution. Compare this to a previous report from June - a time period where we frequently saw the algorithm make massive changes to our macro allocations.
Based on this, a win of only 27 bps isn’t surprising. As long as the algorithm behaves in this way, I’m not expecting weeks where the algorithm outperforms by more than 100 bps. Instead, we’d like to see lower but consistent wins over the portfolio.
There isn’t much to say about this week, given that it’s our first one in a while with the current algorithm. But performance is on-par with what we’ve expected. I’m cautiously optimistic, but wouldn’t expect any massive wins in the near future. For now, the hold remains in effect.
Misc. Data For The Week
